SHOGUN  4.1.0
 全部  命名空间 文件 函数 变量 类型定义 枚举 枚举值 友元 宏定义  
所有成员列表 | Public 成员函数 | Public 属性 | Protected 成员函数 | Protected 属性
CQuadraticTimeMMD类 参考

详细描述

This class implements the quadratic time Maximum Mean Statistic as described in [1]. The MMD is the distance of two probability distributions \(p\) and \(q\) in a RKHS which we denote by

\[ \hat{\eta_k}=\text{MMD}[\mathcal{F},p,q]^2=\textbf{E}_{x,x'} \left[ k(x,x')\right]-2\textbf{E}_{x,y}\left[ k(x,y)\right] +\textbf{E}_{y,y'}\left[ k(y,y')\right]=||\mu_p - \mu_q||^2_\mathcal{F} \]

.

Given two sets of samples \(\{x_i\}_{i=1}^{n_x}\sim p\) and \(\{y_i\}_{i=1}^{n_y}\sim q\), \(n_x+n_y=n\), the unbiased estimate of the above statistic is computed as

\[ \hat{\eta}_{k,U}=\frac{1}{n_x(n_x-1)}\sum_{i=1}^{n_x}\sum_{j\neq i} k(x_i,x_j)+\frac{1}{n_y(n_y-1)}\sum_{i=1}^{n_y}\sum_{j\neq i}k(y_i,y_j) -\frac{2}{n_xn_y}\sum_{i=1}^{n_x}\sum_{j=1}^{n_y}k(x_i,y_j) \]

A biased version is

\[ \hat{\eta}_{k,V}=\frac{1}{n_x^2}\sum_{i=1}^{n_x}\sum_{j=1}^{n_x} k(x_i,x_j)+\frac{1}{n_y^2}\sum_{i=1}^{n_y}\sum_{j=1}^{n_y}k(y_i,y_j) -\frac{2}{n_xn_y}\sum_{i=1}^{n_x}\sum_{j=1}^{n_y}k(x_i,y_j) \]

When \(n_x=n_y=\frac{n}{2}\), an incomplete version can also be computed as the following

\[ \hat{\eta}_{k,U^-}=\frac{1}{\frac{n}{2}(\frac{n}{2}-1)}\sum_{i\neq j} h(z_i,z_j) \]

where for each pair \(z=(x,y)\), \(h(z,z')=k(x,x')+k(y,y')-k(x,y')- k(x',y)\).

The type (biased/unbiased/incomplete) can be selected via set_statistic_type(). Note that there are presently two setups for computing statistic. While using BIASED, UNBIASED or INCOMPLETE, the estimate returned by compute_statistic() is \(\frac{n_xn_y}{n_x+n_y}\hat{\eta}_k\). If DEPRECATED ones are used, then this returns \((n_x+n_y)\hat{\eta}_k\) in general and \((\frac{n}{2}) \hat{\eta}_k\) when \(n_x=n_y=\frac{n}{2}\). This holds for the null distribution samples as well.

Estimating variance of the asymptotic distribution of the statistic under null and alternative hypothesis can be done using compute_variance() method. This is internally done alongwise computing statistics to avoid recomputing the kernel.

Variance under null is computed as \(\sigma_{k,0}^2=2\hat{\kappa}_2=2(\kappa_2-2\kappa_1+\kappa_0)\) where \(\kappa_0=\left(\mathbb{E}_{X,X'}k(X,X')\right )^2\), \(\kappa_1=\mathbb{E}_X\left[(\mathbb{E}_{X'}k(X,X'))^2\right]\), and \(\kappa_2=\mathbb{E}_{X,X'}k^2(X,X')\) and variance under alternative is computed as

\[ \sigma_{k,A}^2=4\rho_y\left\{\mathbb{E}_X\left[\left(\mathbb{E}_{X'} k(X,X')-\mathbb{E}_Yk(X,Y)\right)^2 \right ] -\left(\mathbb{E}_{X,X'} k(X,X')-\mathbb{E}_{X,Y}k(X,Y) \right)^2\right \}+4\rho_x\left\{ \mathbb{E}_Y\left[\left(\mathbb{E}_{Y'}k(Y,Y')-\mathbb{E}_Xk(X,Y) \right)^2\right ] -\left(\mathbb{E}_{Y,Y'}k(Y,Y')-\mathbb{E}_{X,Y} k(X,Y) \right)^2\right \} \]

where \(\rho_x=\frac{n_x}{n}\) and \(\rho_y=\frac{n_y}{n}\).

Note that statistic and variance estimation can be done for multiple kernels at once as well.

Along with the statistic comes a method to compute a p-value based on different methods. Permutation test is also possible. If unsure which one to use, sampling with 250 permutation iterations always is correct (but slow).

To choose, use set_null_approximation_method() and choose from.

MMD2_SPECTRUM_DEPRECATED: For a fast, consistent test based on the spectrum of the kernel matrix, as described in [2]. Only supported if Eigen3 is installed.

MMD2_SPECTRUM: Similar to the deprecated version except it estimates the statistic under null as \(\frac{n_xn_y}{n_x+n_y}\hat{\eta}_{k,U}\rightarrow \sum_r\lambda_r(Z_r^2-1)\) instead (see method description for more details).

MMD2_GAMMA: for a very fast, but not consistent test based on moment matching of a Gamma distribution, as described in [2].

PERMUTATION: For permuting available samples to sample null-distribution

If you do not know about your data, but want to use the MMD from a kernel matrix, just use the custom kernel constructor. Everything else will work as usual.

For kernel selection see CMMDKernelSelection.

NOTE: \(n_x\) and \(n_y\) are represented by \(m\) and \(n\), respectively in the implementation.

[1]: Gretton, A., Borgwardt, K. M., Rasch, M. J., Schoelkopf, B., & Smola, A. (2012). A Kernel Two-Sample Test. Journal of Machine Learning Research, 13, 671-721.

[2]: Gretton, A., Fukumizu, K., & Harchaoui, Z. (2011). A fast, consistent kernel two-sample test.

在文件 QuadraticTimeMMD.h158 行定义.

类 CQuadraticTimeMMD 继承关系图:
Inheritance graph
[图例]

Public 成员函数

 CQuadraticTimeMMD ()
 
 CQuadraticTimeMMD (CKernel *kernel, CFeatures *p_and_q, index_t m)
 
 CQuadraticTimeMMD (CKernel *kernel, CFeatures *p, CFeatures *q)
 
 CQuadraticTimeMMD (CCustomKernel *custom_kernel, index_t m)
 
virtual ~CQuadraticTimeMMD ()
 
virtual float64_t compute_statistic ()
 
SGVector< float64_tcompute_statistic (bool multiple_kernels)
 
virtual SGVector< float64_tcompute_variance ()
 
SGMatrix< float64_tcompute_variance (bool multiple_kernels)
 
float64_t compute_variance_under_null ()
 
float64_t compute_variance_under_alternative ()
 
virtual float64_t compute_p_value (float64_t statistic)
 
virtual float64_t compute_threshold (float64_t alpha)
 
virtual const char * get_name () const
 
virtual EStatisticType get_statistic_type () const
 
SGVector< float64_tsample_null_spectrum (index_t num_samples, index_t num_eigenvalues)
 
SGVector< float64_tsample_null_spectrum_DEPRECATED (index_t num_samples, index_t num_eigenvalues)
 
void set_num_samples_spectrum (index_t num_samples_spectrum)
 
void set_num_eigenvalues_spectrum (index_t num_eigenvalues_spectrum)
 
void set_statistic_type (EQuadraticMMDType statistic_type)
 
SGVector< float64_tfit_null_gamma ()
 
virtual void set_kernel (CKernel *kernel)
 
virtual CKernelget_kernel ()
 
virtual SGVector< float64_tsample_null ()
 
virtual void set_p_and_q (CFeatures *p_and_q)
 
virtual CFeaturesget_p_and_q ()
 
void set_m (index_t m)
 
index_t get_m ()
 
virtual float64_t perform_test ()
 
bool perform_test (float64_t alpha)
 
virtual void set_num_null_samples (index_t num_null_samples)
 
virtual void set_null_approximation_method (ENullApproximationMethod null_approximation_method)
 
virtual CSGObjectshallow_copy () const
 
virtual CSGObjectdeep_copy () const
 
virtual bool is_generic (EPrimitiveType *generic) const
 
template<class T >
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
template<>
void set_generic ()
 
void unset_generic ()
 
virtual void print_serializable (const char *prefix="")
 
virtual bool save_serializable (CSerializableFile *file, const char *prefix="")
 
virtual bool load_serializable (CSerializableFile *file, const char *prefix="")
 
void set_global_io (SGIO *io)
 
SGIOget_global_io ()
 
void set_global_parallel (Parallel *parallel)
 
Parallelget_global_parallel ()
 
void set_global_version (Version *version)
 
Versionget_global_version ()
 
SGStringList< char > get_modelsel_names ()
 
void print_modsel_params ()
 
char * get_modsel_param_descr (const char *param_name)
 
index_t get_modsel_param_index (const char *param_name)
 
void build_gradient_parameter_dictionary (CMap< TParameter *, CSGObject * > *dict)
 
virtual void update_parameter_hash ()
 
virtual bool parameter_hash_changed ()
 
virtual bool equals (CSGObject *other, float64_t accuracy=0.0, bool tolerant=false)
 
virtual CSGObjectclone ()
 

Public 属性

SGIOio
 
Parallelparallel
 
Versionversion
 
Parameterm_parameters
 
Parameterm_model_selection_parameters
 
Parameterm_gradient_parameters
 
uint32_t m_hash
 

Protected 成员函数

SGVector< float64_tcompute_unbiased_statistic_variance (int m, int n)
 
SGVector< float64_tcompute_biased_statistic_variance (int m, int n)
 
SGVector< float64_tcompute_incomplete_statistic_variance (int n)
 
float64_t compute_unbiased_statistic (int m, int n)
 
float64_t compute_biased_statistic (int m, int n)
 
float64_t compute_incomplete_statistic (int n)
 
virtual void load_serializable_pre () throw (ShogunException)
 
virtual void load_serializable_post () throw (ShogunException)
 
virtual void save_serializable_pre () throw (ShogunException)
 
virtual void save_serializable_post () throw (ShogunException)
 

Protected 属性

index_t m_num_samples_spectrum
 
index_t m_num_eigenvalues_spectrum
 
EQuadraticMMDType m_statistic_type
 
CKernelm_kernel
 
CFeaturesm_p_and_q
 
index_t m_m
 
index_t m_num_null_samples
 
ENullApproximationMethod m_null_approximation_method
 

构造及析构函数说明

default constructor

在文件 QuadraticTimeMMD.cpp48 行定义.

CQuadraticTimeMMD ( CKernel kernel,
CFeatures p_and_q,
index_t  m 
)

Constructor

参数
p_and_qfeature data. Is assumed to contain samples from both p and q. First m samples from p, then from index m all samples from q
kernelkernel to use
p_and_qsamples from p and q, appended
mindex of first sample of q

在文件 QuadraticTimeMMD.cpp53 行定义.

CQuadraticTimeMMD ( CKernel kernel,
CFeatures p,
CFeatures q 
)

Constructor. This is a convienience constructor which copies both features to one element and then calls the other constructor. Needs twice the memory for a short time

参数
kernelkernel for MMD
psamples from distribution p, will be copied and NOT SG_REF'ed
qsamples from distribution q, will be copied and NOT SG_REF'ed

在文件 QuadraticTimeMMD.cpp60 行定义.

CQuadraticTimeMMD ( CCustomKernel custom_kernel,
index_t  m 
)

Constructor. This is a convienience constructor which allows to only specify a custom kernel. In this case, the features are completely ignored and all computations will be done on the custom kernel

参数
custom_kernelcustom kernel for MMD, which is a kernel between the appended features p and q
mindex of first sample of q

在文件 QuadraticTimeMMD.cpp66 行定义.

~CQuadraticTimeMMD ( )
virtual

destructor

在文件 QuadraticTimeMMD.cpp72 行定义.

成员函数说明

void build_gradient_parameter_dictionary ( CMap< TParameter *, CSGObject * > *  dict)
inherited

Builds a dictionary of all parameters in SGObject as well of those of SGObjects that are parameters of this object. Dictionary maps parameters to the objects that own them.

参数
dictdictionary of parameters to be built.

在文件 SGObject.cpp597 行定义.

CSGObject * clone ( )
virtualinherited

Creates a clone of the current object. This is done via recursively traversing all parameters, which corresponds to a deep copy. Calling equals on the cloned object always returns true although none of the memory of both objects overlaps.

返回
an identical copy of the given object, which is disjoint in memory. NULL if the clone fails. Note that the returned object is SG_REF'ed

在文件 SGObject.cpp714 行定义.

float64_t compute_biased_statistic ( int  m,
int  n 
)
protected

Wrapper method for computing biased estimate of MMD^2

参数
mnumber of samples from p
nnumber of samples from q
返回
biased \(\text{MMD}^2\) estimate \(\hat{\eta}_{k,V}\)

在文件 QuadraticTimeMMD.cpp536 行定义.

SGVector< float64_t > compute_biased_statistic_variance ( int  m,
int  n 
)
protected

Helper method to compute biased estimate of squared quadratic time MMD and variance estimate under null and alternative hypothesis

参数
mnumber of samples from p
nnumber of samples from q
返回
a vector of three values first - biased \(\text{MMD}^2\) estimate \(\hat{\eta}_{k,V}\) second - variance under null hypothesis (see class documentation) third - variance under alternative hypothesis (see class documentation)

在文件 QuadraticTimeMMD.cpp239 行定义.

float64_t compute_incomplete_statistic ( int  n)
protected

Wrapper method for computing incomplete estimate of MMD^2

参数
nnumber of samples from p and q
返回
incomplete \(\text{MMD}^2\) estimate \(\hat{\eta}_{k,U^-}\)

在文件 QuadraticTimeMMD.cpp541 行定义.

SGVector< float64_t > compute_incomplete_statistic_variance ( int  n)
protected

Helper method to compute incomplete estimate of squared quadratic time MMD and variance estimate under null and alternative hypothesis

参数
nnumber of samples from p and q
返回
a vector of three values first - incomplete \(\text{MMD}^2\) estimate \(\hat{\eta}_{k,U^-}\) second - variance under null hypothesis (see class documentation) third - variance under alternative hypothesis (see class documentation)

在文件 QuadraticTimeMMD.cpp385 行定义.

float64_t compute_p_value ( float64_t  statistic)
virtual

computes a p-value based on current method for approximating the null-distribution. The p-value is the 1-p quantile of the null- distribution where the given statistic lies in.

Not all methods for computing the p-value are compatible with all methods of computing the statistic (biased/unbiased/incomplete).

参数
statisticstatistic value to compute the p-value for
返回
p-value parameter statistic is the (1-p) percentile of the null distribution

重载 CTwoSampleTest .

在文件 QuadraticTimeMMD.cpp749 行定义.

float64_t compute_statistic ( )
virtual

Computes the squared quadratic time MMD for the current data. Note that the type (biased/unbiased/incomplete) can be specified with set_statistic_type() method.

返回
(biased, unbiased or incomplete) \(\frac{mn}{m+n}\hat{\eta}_k\). If DEPRECATED types are used, then it returns \((m+m)\hat{\eta}_k\) in general and \(m\hat{\eta}_k\) when \(m=n\).

实现了 CKernelTwoSampleTest.

在文件 QuadraticTimeMMD.cpp546 行定义.

SGVector< float64_t > compute_statistic ( bool  multiple_kernels)
virtual

Same as compute_statistic(), but with the possibility to perform on multiple kernels at once

参数
multiple_kernelsif true, and underlying kernel is K_COMBINED, method will be executed on all subkernels on the same data
返回
vector of results for subkernels

实现了 CKernelTwoSampleTest.

在文件 QuadraticTimeMMD.cpp663 行定义.

float64_t compute_threshold ( float64_t  alpha)
virtual

computes a threshold based on current method for approximating the null-distribution. The threshold is the value that a statistic has to have in ordner to reject the null-hypothesis.

Not all methods for computing the p-value are compatible with all methods of computing the statistic (biased/unbiased/incomplete).

参数
alphatest level to reject null-hypothesis
返回
threshold for statistics to reject null-hypothesis

重载 CTwoSampleTest .

在文件 QuadraticTimeMMD.cpp801 行定义.

float64_t compute_unbiased_statistic ( int  m,
int  n 
)
protected

Wrapper method for computing unbiased estimate of MMD^2

参数
mnumber of samples from p
nnumber of samples from q
返回
unbiased \(\text{MMD}^2\) estimate \(\hat{\eta}_{k,U}\)

在文件 QuadraticTimeMMD.cpp531 行定义.

SGVector< float64_t > compute_unbiased_statistic_variance ( int  m,
int  n 
)
protected

Helper method to compute unbiased estimate of squared quadratic time MMD and variance estimate under null and alternative hypothesis

参数
mnumber of samples from p
nnumber of samples from q
返回
a vector of three values first - unbiased \(\text{MMD}^2\) estimate \(\hat{\eta}_{k,U}\) second - variance under null hypothesis (see class documentation) third - variance under alternative hypothesis (see class documentation)

在文件 QuadraticTimeMMD.cpp92 行定义.

SGVector< float64_t > compute_variance ( )
virtual

Wrapper for computing variance estimate of the asymptotic distribution of the statistic (unbisaed/biased/incomplete) under null and alternative hypothesis (see class description for details)

返回
a vector of two values containing asymptotic variance estimate under null and alternative, respectively

在文件 QuadraticTimeMMD.cpp598 行定义.

SGMatrix< float64_t > compute_variance ( bool  multiple_kernels)

Same as compute_variance(), but with the possibility to perform on multiple kernels at once

参数
multiple_kernelsif true, and underlying kernel is K_COMBINED, method will be executed on all subkernels on the same data
返回
matrix of results for subkernels, one row for each subkernel

在文件 QuadraticTimeMMD.cpp704 行定义.

float64_t compute_variance_under_alternative ( )

Wrapper method for compute_variance()

返回
variance estimation of asymptotic distribution of statistic under alternative hypothesis

在文件 QuadraticTimeMMD.cpp658 行定义.

float64_t compute_variance_under_null ( )

Wrapper method for compute_variance()

返回
variance estimation of asymptotic distribution of statistic under null hypothesis

在文件 QuadraticTimeMMD.cpp653 行定义.

CSGObject * deep_copy ( ) const
virtualinherited

A deep copy. All the instance variables will also be copied.

在文件 SGObject.cpp198 行定义.

bool equals ( CSGObject other,
float64_t  accuracy = 0.0,
bool  tolerant = false 
)
virtualinherited

Recursively compares the current SGObject to another one. Compares all registered numerical parameters, recursion upon complex (SGObject) parameters. Does not compare pointers!

May be overwritten but please do with care! Should not be necessary in most cases.

参数
otherobject to compare with
accuracyaccuracy to use for comparison (optional)
tolerantallows linient check on float equality (within accuracy)
返回
true if all parameters were equal, false if not

在文件 SGObject.cpp618 行定义.

SGVector< float64_t > fit_null_gamma ( )

Approximates the null-distribution by the two parameter gamma distribution. It works in O(m^2) where m is the number of samples from each distribution. Its very fast, but may be inaccurate. However, there are cases where it performs very well. Returns parameters of gamma distribution that is fitted.

Called by compute_p_value() if null approximation method is set to MMD2_GAMMA.

Note that when being used for constructing a test, the provided statistic HAS to be the biased version (see paper for details). To use, set BIASED_DEPRECATED as statistic type. Note that m*Null-distribution is fitted, which is fine since the statistic is also m*MMD.

See Gretton, A., Fukumizu, K., & Harchaoui, Z. (2011). A fast, consistent kernel two-sample test.

返回
vector with two parameter for gamma distribution. To use: call gamma_cdf(statistic, a, b).

在文件 QuadraticTimeMMD.cpp1032 行定义.

SGIO * get_global_io ( )
inherited

get the io object

返回
io object

在文件 SGObject.cpp235 行定义.

Parallel * get_global_parallel ( )
inherited

get the parallel object

返回
parallel object

在文件 SGObject.cpp277 行定义.

Version * get_global_version ( )
inherited

get the version object

返回
version object

在文件 SGObject.cpp290 行定义.

virtual CKernel* get_kernel ( )
virtualinherited
返回
underlying kernel, is SG_REF'ed

在文件 KernelTwoSampleTest.h86 行定义.

index_t get_m ( )
inherited
返回
number of to be used samples m

在文件 TwoSampleTest.h127 行定义.

SGStringList< char > get_modelsel_names ( )
inherited
返回
vector of names of all parameters which are registered for model selection

在文件 SGObject.cpp498 行定义.

char * get_modsel_param_descr ( const char *  param_name)
inherited

Returns description of a given parameter string, if it exists. SG_ERROR otherwise

参数
param_namename of the parameter
返回
description of the parameter

在文件 SGObject.cpp522 行定义.

index_t get_modsel_param_index ( const char *  param_name)
inherited

Returns index of model selection parameter with provided index

参数
param_namename of model selection parameter
返回
index of model selection parameter with provided name, -1 if there is no such

在文件 SGObject.cpp535 行定义.

virtual const char* get_name ( ) const
virtual
返回
the class name

实现了 CKernelTwoSampleTest.

在文件 QuadraticTimeMMD.h280 行定义.

CFeatures * get_p_and_q ( )
virtualinherited

Getter for joint features, SG_REF'ed

返回
joint feature object

CStreamingMMD 重载.

在文件 TwoSampleTest.cpp171 行定义.

virtual EStatisticType get_statistic_type ( ) const
virtual

returns the statistic type of this test statistic

实现了 CHypothesisTest.

在文件 QuadraticTimeMMD.h286 行定义.

bool is_generic ( EPrimitiveType *  generic) const
virtualinherited

If the SGSerializable is a class template then TRUE will be returned and GENERIC is set to the type of the generic.

参数
genericset to the type of the generic if returning TRUE
返回
TRUE if a class template.

在文件 SGObject.cpp296 行定义.

bool load_serializable ( CSerializableFile file,
const char *  prefix = "" 
)
virtualinherited

Load this object from file. If it will fail (returning FALSE) then this object will contain inconsistent data and should not be used!

参数
filewhere to load from
prefixprefix for members
返回
TRUE if done, otherwise FALSE

在文件 SGObject.cpp369 行定义.

void load_serializable_post ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_POST is called.

异常
ShogunExceptionwill be thrown if an error occurs.

CKernel, CWeightedDegreePositionStringKernel, CList, CAlphabet, CLinearHMM, CGaussianKernel, CInverseMultiQuadricKernel, CCircularKernel , 以及 CExponentialKernel 重载.

在文件 SGObject.cpp426 行定义.

void load_serializable_pre ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::LOAD_SERIALIZABLE_PRE is called.

异常
ShogunExceptionwill be thrown if an error occurs.

CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool > , 以及 CDynamicObjectArray 重载.

在文件 SGObject.cpp421 行定义.

bool parameter_hash_changed ( )
virtualinherited
返回
whether parameter combination has changed since last update

在文件 SGObject.cpp262 行定义.

float64_t perform_test ( )
virtualinherited

Performs the complete two-sample test on current data and returns a p-value.

This is a wrapper that calls compute_statistic first and then calls compute_p_value using the obtained statistic. In some statistic classes, it might be possible to compute statistic and p-value in one single run which is more efficient. Therefore, this method might be overwritten in subclasses.

The method for computing the p-value can be set via set_null_approximation_method().

返回
p-value such that computed statistic is the (1-p) quantile of the estimated null distribution

CStreamingMMD 重载.

在文件 HypothesisTest.cpp113 行定义.

bool perform_test ( float64_t  alpha)
inherited

Performs the complete two-sample test on current data and returns a binary answer wheter null hypothesis is rejected or not.

This is just a wrapper for the above perform_test() method that returns a p-value. If this p-value lies below the test level alpha, the null hypothesis is rejected.

Should not be overwritten in subclasses. (Therefore not virtual)

参数
alphatest level alpha.
返回
true if null hypothesis is rejected and false otherwise

在文件 HypothesisTest.cpp121 行定义.

void print_modsel_params ( )
inherited

prints all parameter registered for model selection and their type

在文件 SGObject.cpp474 行定义.

void print_serializable ( const char *  prefix = "")
virtualinherited

prints registered parameters out

参数
prefixprefix for members

在文件 SGObject.cpp308 行定义.

SGVector< float64_t > sample_null ( )
virtualinherited

merges both sets of samples and computes the test statistic m_num_null_samples times. This version checks if a precomputed custom kernel is used, and, if so, just permutes it instead of re- computing it in every iteration.

返回
vector of all statistics

重载 CTwoSampleTest .

CStreamingMMD 重载.

在文件 KernelTwoSampleTest.cpp55 行定义.

SGVector< float64_t > sample_null_spectrum ( index_t  num_samples,
index_t  num_eigenvalues 
)

Returns a set of samples of an estimate of the null distribution using the Eigen-spectrum of the centered kernel matrix of the merged samples of p and q. May be used to compute p-value (easy).

The estimate is computed as

\[ \frac{n_xn_y}{n_x+n_y}\hat{\eta}_{k,U}\rightarrow\sum_{l=1}^\infty \lambda_l\left(Z^2_l-1 \right) \]

where \({Z_l}\stackrel{i.i.d.}{\sim}\mathcal{N}(0,1)\) and \(\lambda_l\) are the eigenvalues of centered kernel matrix HKH.

kernel matrix needs to be stored in memory

Note that m*n/(m+n)*Null-distribution is returned, which is fine since the statistic is also m*n/(m+n)*MMD^2

Works well if the kernel matrix is NOT diagonal dominant. See Gretton, A., Fukumizu, K., & Harchaoui, Z. (2011). A fast, consistent kernel two-sample test.

参数
num_samplesnumber of samples to draw
num_eigenvaluesnumber of eigenvalues to use to draw samples Maximum number of m+n-1 where m and n are the sizes of samples from p and q respectively.
返回
samples from the estimated null distribution

在文件 QuadraticTimeMMD.cpp854 行定义.

SGVector< float64_t > sample_null_spectrum_DEPRECATED ( index_t  num_samples,
index_t  num_eigenvalues 
)

Returns a set of samples of an estimate of the null distribution using the Eigen-spectrum of the centered kernel matrix of the merged samples of p and q. May be used to compute p-value (easy).

The unbiased version uses

\[ t\text{MMD}_u^2[\mathcal{F},X,Y]\rightarrow\sum_{l=1}^\infty \lambda_l\left((a_l\rho_x^{-\frac{1}{{2}}} -b_l\rho_y^{-\frac{1}{{2}}})^2-(\rho_x\rho_y)^{-1} \right) \]

where \(t=m+n\), \(\lim_{m,n\rightarrow\infty}m/t\rightarrow \rho_x\) and \(\rho_y\) likewise (equation 10 from [1]) and \(\lambda_l\) are estimated as \(\frac{\nu_l}{(m+n)}\), where \(\nu_l\) are the eigenvalues of centered kernel matrix HKH.

The biased version uses

\[ t\text{MMD}_b^2[\mathcal{F},X,Y]\rightarrow\sum_{l=1}^\infty \lambda_l\left((a_l\rho_x^{-\frac{1}{{2}}}- b_l\rho_y^{-\frac{1}{{2}}})^2\right) \]

kernel matrix needs to be stored in memory

Note that (m+n)*Null-distribution is returned, which is fine since the statistic is also (m+n)*MMD: except when m and n are equal, then m*MMD^2 is returned

Works well if the kernel matrix is NOT diagonal dominant. See Gretton, A., Fukumizu, K., & Harchaoui, Z. (2011). A fast, consistent kernel two-sample test.

参数
num_samplesnumber of samples to draw
num_eigenvaluesnumber of eigenvalues to use to draw samples Maximum number of m+n-1 where m and n are the sizes of samples from p and q respectively. It is usually safe to use a smaller number since they decay very fast, however, a conservative approach would be to use all (-1 does this). See paper for details.
返回
samples from the estimated null distribution

在文件 QuadraticTimeMMD.cpp933 行定义.

bool save_serializable ( CSerializableFile file,
const char *  prefix = "" 
)
virtualinherited

Save this object to file.

参数
filewhere to save the object; will be closed during returning if PREFIX is an empty string.
prefixprefix for members
返回
TRUE if done, otherwise FALSE

在文件 SGObject.cpp314 行定义.

void save_serializable_post ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to post-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_POST is called.

异常
ShogunExceptionwill be thrown if an error occurs.

CKernel 重载.

在文件 SGObject.cpp436 行定义.

void save_serializable_pre ( )
throw (ShogunException
)
protectedvirtualinherited

Can (optionally) be overridden to pre-initialize some member variables which are not PARAMETER::ADD'ed. Make sure that at first the overridden method BASE_CLASS::SAVE_SERIALIZABLE_PRE is called.

异常
ShogunExceptionwill be thrown if an error occurs.

CKernel, CDynamicArray< T >, CDynamicArray< float64_t >, CDynamicArray< float32_t >, CDynamicArray< int32_t >, CDynamicArray< char >, CDynamicArray< bool > , 以及 CDynamicObjectArray 重载.

在文件 SGObject.cpp431 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp41 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp46 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp51 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp56 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp61 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp66 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp71 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp76 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp81 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp86 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp91 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp96 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp101 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp106 行定义.

void set_generic ( )
inherited

在文件 SGObject.cpp111 行定义.

void set_generic ( )
inherited

set generic type to T

void set_global_io ( SGIO io)
inherited

set the io object

参数
ioio object to use

在文件 SGObject.cpp228 行定义.

void set_global_parallel ( Parallel parallel)
inherited

set the parallel object

参数
parallelparallel object to use

在文件 SGObject.cpp241 行定义.

void set_global_version ( Version version)
inherited

set the version object

参数
versionversion object to use

在文件 SGObject.cpp283 行定义.

virtual void set_kernel ( CKernel kernel)
virtualinherited

Setter for the underlying kernel

参数
kernelnew kernel to use

在文件 KernelTwoSampleTest.h77 行定义.

void set_m ( index_t  m)
inherited
参数
mnumber of samples from first distribution p

在文件 TwoSampleTest.cpp162 行定义.

void set_null_approximation_method ( ENullApproximationMethod  null_approximation_method)
virtualinherited

sets the method how to approximate the null-distribution

参数
null_approximation_methodmethod to use

在文件 HypothesisTest.cpp61 行定义.

void set_num_eigenvalues_spectrum ( index_t  num_eigenvalues_spectrum)

setter for number of eigenvalues to use in spectrum based p-value computation. Maximum is m_m+m_n-1

参数
num_eigenvalues_spectrumnumber of eigenvalues to use to approximate null-distributrion

在文件 QuadraticTimeMMD.cpp1124 行定义.

void set_num_null_samples ( index_t  num_null_samples)
virtualinherited

sets the number of permutation iterations for sample_null()

参数
num_null_sampleshow often permutation shall be done

在文件 HypothesisTest.cpp67 行定义.

void set_num_samples_spectrum ( index_t  num_samples_spectrum)

setter for number of samples to use in spectrum based p-value computation.

参数
num_samples_spectrumnumber of samples to draw from approximate null-distributrion

在文件 QuadraticTimeMMD.cpp1118 行定义.

void set_p_and_q ( CFeatures p_and_q)
virtualinherited

Setter for joint features

参数
p_and_qjoint features from p and q to set

CStreamingMMD 重载.

在文件 TwoSampleTest.cpp154 行定义.

void set_statistic_type ( EQuadraticMMDType  statistic_type)
参数
statistic_typestatistic type (biased/unbiased/incomplete) to use

在文件 QuadraticTimeMMD.cpp1130 行定义.

CSGObject * shallow_copy ( ) const
virtualinherited

A shallow copy. All the SGObject instance variables will be simply assigned and SG_REF-ed.

CGaussianKernel 重载.

在文件 SGObject.cpp192 行定义.

void unset_generic ( )
inherited

unset generic type

this has to be called in classes specializing a template class

在文件 SGObject.cpp303 行定义.

void update_parameter_hash ( )
virtualinherited

Updates the hash of current parameter combination

在文件 SGObject.cpp248 行定义.

类成员变量说明

SGIO* io
inherited

io

在文件 SGObject.h369 行定义.

Parameter* m_gradient_parameters
inherited

parameters wrt which we can compute gradients

在文件 SGObject.h384 行定义.

uint32_t m_hash
inherited

Hash of parameter values

在文件 SGObject.h387 行定义.

CKernel* m_kernel
protectedinherited

underlying kernel

在文件 KernelTwoSampleTest.h121 行定义.

index_t m_m
protectedinherited

defines the first index of samples of q

在文件 TwoSampleTest.h139 行定义.

Parameter* m_model_selection_parameters
inherited

model selection parameters

在文件 SGObject.h381 行定义.

ENullApproximationMethod m_null_approximation_method
protectedinherited

Defines how the the null distribution is approximated

在文件 HypothesisTest.h177 行定义.

index_t m_num_eigenvalues_spectrum
protected

number of Eigenvalues for spectrum null-dstribution-approximation

在文件 QuadraticTimeMMD.h479 行定义.

index_t m_num_null_samples
protectedinherited

number of iterations for sampling from null-distributions

在文件 HypothesisTest.h174 行定义.

index_t m_num_samples_spectrum
protected

number of samples for spectrum null-dstribution-approximation

在文件 QuadraticTimeMMD.h476 行定义.

CFeatures* m_p_and_q
protectedinherited

concatenated samples of the two distributions (two blocks)

在文件 TwoSampleTest.h136 行定义.

Parameter* m_parameters
inherited

parameters

在文件 SGObject.h378 行定义.

EQuadraticMMDType m_statistic_type
protected

type of statistic (biased/unbiased/incomplete as well as deprecated versions of biased/unbiased)

在文件 QuadraticTimeMMD.h484 行定义.

Parallel* parallel
inherited

parallel

在文件 SGObject.h372 行定义.

Version* version
inherited

version

在文件 SGObject.h375 行定义.


该类的文档由以下文件生成:

SHOGUN 机器学习工具包 - 项目文档